There are other executable compressors. One is gzexe (forget it), while tcx was probably the best before upx became available; yet another is tzx, in theory better than tcx. The thing is, it screwed everything up when I tried it on a spare PC, though I'm not sure if I did something wrong. You had better stick with upx: it's reliable, efficient, and very handy.

There are kernel patches that provide transparent file system compression a la Stacker, but as of this writing none of them has yet a reputation for stability and reliability. For safety's sake, steer clear.